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Mar 28: Matt Moran,Harnessing Social Media Sentiment, Herb Blank, Smart Beta and Fee Compression

March 28, 2017 @ 5:30 pm - 8:00 pm

| $35 - $60

Matthew Moran VP – Chicago Board Options Exchange (CBOE) and Herb Blank, Director, Global Benchmark System, S-Network

March 28 @ 5:45 pm8:15 pm

| $35 – $60  

Tuesday, March 28, 2017


“Harnessing Social Media Sentiment and the Volatility Risk Premium in the Quest for Alpha” – Matt Moran, Vice President, Business Development, for the Chicago Board Options Exchange (CBOE)

“Smart Beta in the Face of Fee Compression” – Herb Blank, Director of Global Benchmark System, S-Network Global Indexes and ESG Solutions

Permalink: http://newyork.qwafafew.org/event/2017mar28b/

Please note: Ron Ryan, originally scheduled for this program has been moved to April 25.

5:30- 6:10 Registration, Networking, and Refreshmentshttp://newyork.qwafafew.org/event/2017mar28/

6:10 – 6:15 Chapter Business – Mike Carty, Chapter President

6:15 – 6:55  “Harnessing Social Media Sentiment and the Volatility Risk Premium in the Quest for Alpha”, Matt Moran is Vice President, Business Development, for the Chicago Board Options Exchange (CBOE),

Harnessing Social Media Sentiment and the Volatility Risk Premium in the Quest for Alpha

As investors have struggled to cope with rising interest rates and high price-earnings ratios, there is increased interest in tools and indexes that can be used to achieve the goals of managing portfolio risk, increasing income, and enhancing long-term risk-adjusted returns.

This presentation will discuss a number of topics related to investor sentiment, including –

  • Developing investable and actionable intelligence from analysis of sentiment trends on social media;
  • Thirty years of historical data show that certain options-based benchmark indices have generated attractive risk-adjusted returns, with stock-like returns and bond-like volatility;
  • A key source of return for options writers has been a persistence of “rich” pricing for index options;
  • Increased use of options- and volatility-based strategies by pension funds, mutual funds and hedge funds;
  • New studies by Wilshire Associates and Fund Evaluation Group.

Matt Moran is Vice President, Business Development, for the Chicago Board Options Exchange (CBOE)

Matt Moran is Vice President, Business Development, for the Chicago Board Options Exchange (CBOE), and is responsible for many of the exchange’s business development efforts relating to pension funds, mutual funds, and other institutional investors. He had a leadership role in developing and marketing the CBOE S&P 500 BuyWrite Index (BXM) and the CBOE S&P 500 PutWrite Index (PUT), both of which received the annual Most Innovative Benchmark Index award. Mr. Moran also has served as Trust Counsel at Harris Bank and as Vice President at Chicago Mercantile Exchange. He is an Associate Editor of The Journal of Trading and The Journal of Index Investing, and serves on the steering committee for QWAFAFEW-Chicago. He is a licensed attorney-at-law who received his post-graduate business degree and his Juris Doctor degree from the University of Illinois.

6:55 – 7:10     Refreshment and Networking Break

7:10 – 7:55  “Smart Beta in the Face of Fee Compression”, Herb Blank, Director of Global Benchmark System, S-Network Global Indexes and ESG Solutions

This presentation will address the following points: 

  1. Track Record of Actively Managed Funds
  2. Fee Compression
  3. Expansion of ETF Market
  4. The Advent of Smart Beta
  5. Focus on Satisfying Fund Objectives with well-constructed and efficient investment disciplines

Herb Blank, Director of Global Benchmark System, S-Network Global Indexes (www.snetbenchmarkindexes.com). Herb is responsible for benchmark education, research, licensing, promotion, and adoption. Another role involves presentations on index development with an emphasis on “Smart Beta” and ESG ratings and indexes. Prior to S-Network, Herb worked as Managing Director of Quantitative Solutions at Rapid Ratings International, where he served as account manager for institutional investors, insurance companies, and banks and assisted risk managers in integrating the firm’s data into corporate systems.

A recognized pioneer in the ETF industry, Herb was Founder and Managing Principal at QED International Associates, where he consulted with asset management firms to develop and market ETFs, global asset allocation strategies, and risk-controlled hedge vehicles. In this capacity, he assisted in product development and introduction of iShares, and GLD. From 1993-1997, Herb was a Director at Deutsche Bank Securities Corporation. He served as Senior Portfolio Manager of CountryBaskets, nine different country index funds and the first ETF family to use the fund structure, as the first ETFs to trade on the NYSE. 

From 1990 – 1993 at Value Line Inc. as Senior Quantitative Analyst, Herb worked on developing and maintaining stock ranking systems while developing and serving as portfolio manager of tilted index portfolios. Fidelity Bank in Philadelphia was his home through most of the 1980’s where he developed and managed quantitative portfolios as part of a team that worked with Stephen Ross, PhD. to introduce Arbitrage Pricing Theory into institutional portfolio management. A frequently published author, Herb’s MBA is from NYU Stern; he also holds M.A. and B.A Mathematics degrees from the University of Pennsylvania. Herb also serves as Steering Committee Chairperson of QWAFAFEW and helped re-launch the New York Chapter in 1997 and has since helped launch and promote other chapters around the world.

8:15 Adjournment

Venue:  Bourbon Street Bar and Grill, 346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036

http://www.bourbonny.com/contact    accessible 42nd Street, Port Authority (A, C, E lines)

RSVP to nyc@qwafafew.org In text body, please provide the name, phone number, email, and membership/affiliation status for each attendee.

Admission Fees: Use Paypal Link by clicking here or type the URL: https://qwafafew.wordpress.com/meeting-admission-nyc/

or bring Check or Cash to the door on the night of the event after you RSVP.

$35 for paid-up QWAFAFEW members (any chapter);

$40 for CQA members, SQA members, CQFs, CAIAs, CTHFAs, and sustaining (paid) PRMIA members, full-time students, those between positions, FWA members, IAFE, MTA members and members of any CFA Society;

$50 for members of PRMIA (free members), GARP, and/or members of any Quant-affiliated Linked-In group;

$60 for all other RSVPs;

Unless paid through PayPal, $10 late-fee applies to those not RSVP’d by Noon of the day of the event.

Attend this meeting for free by signing up for a 12 month membership

Start or renew a 12-month membership: dues of $120 allow one to attend the next 12 meetings at the membership rate (with the first meeting free)

Use Paypal Link: https://qwafafew.wordpress.com/purchase-qwafafew-nyc-chapter-membership/  

or bring Check or Cash to the door on the night of the event after you RSVP at nyc@qwafafew.org

student and transition memberships also available: see below for details 

To learn more about QWAFAFEW: visit http://qwafafew.org/

To be placed on our e-newsletter mailing list: please e-mail qwafafewnyc@outlook.com with your e-mail and name.


12-month membership dues of $120 available at the door (Use Paypal Link: https://qwafafew.wordpress.com/purchase-qwafafew-nyc-chapter-membership/  or bring Check or Cash to the door on the night of the event after you RSVP), and attend this meeting for free.

Student membership available for $60 (first meeting is free) or Transitional membership available for $80 (1st meeting free) Paypal Link:      https://qwafafew.wordpress.com/qwafafew-paypal-buttons-regional-meetings/

Our Speakers:

Herb Jesse of QWAFAFEW with Julie Abbett


Matt Moran CBO

Matt Moran CBOE


QWAFAFEW NYC 2017 schedule

Tuesday, January 24th – Dan diBartolomeo, President, Northfield Information Services & Prof. Dr. Jérôme Kreuser, CEO/Founder RisKontroller Global LLC, Senior Researcher ETH Zurich Risk Center

Tuesday, February 21st – Dick Michaud, President and CEO, New Frontier Advisors & Eric S. Smith, Chairman & CEO, Consulting Services Support Corporation, Decision Technologies Corporation

Tuesday, March 28th – Matt Moran, VP, Business Development, CBOE & Herb Blank, Director of Global Benchmark System, S-Network Global Indexes and ESG Solutions

Tuesday, April 25th – Ronald J Ryan, CFA, CEO, ALM Inc & TBA

Tuesday, May 23rd – TBA

Tuesday, June 27th- TBA

Tuesday, July 25th – Mary Ann Bartels, Managing Director, CIO of Portfolio Solutions, US Wealth Management, Bank of America Merrill Lynch & Sam Stovall, US Equity Strategist, S&P Global Market Intelligence

Tuesday, August 22nd- TBA

Wednesday, September 6th – TBA

Tuesday, September 26th –  Indrani De, Senior Director – Risk Management, TIAA &
Mikhail Samonov, Senior Portfolio Manager at Forefront Analytics and GKFO

Tuesday, October 24th – TBA

Tuesday, November 28th – TBA


QWAFAFEW is always soliciting presentation volunteers.  Send a note to qwafafewnyc@outlook.com if you are interested. New York is the primary focus.  However, if you wish to present in Boston, Chicago, Denver, Los Angeles, Philadelphia, Pittsburgh, Princeton, San Francisco or Washington, DC, please include that in your response and that information will be conveyed accordingly.  As always, presentations must involve research and be educational in manner; while products can be mentioned and touched upon briefly, no product presentations will be accepted.  Disclaimer: Volunteering does not guarantee acceptance.


Other Chapter Events

Boston QWAFAFEW, Tuesday March 21 – Program to be announced soon.


Other Upcoming Events of Interest – Click on:

Relevant Events – All Regions



March 7, 2017, 11:59 PM (23:59) PST – voting deadline. Exchangetradedfunds.com is pleased to announce the voting is underway for the 13th Annual Global ETF Awards®. The 13th Annual Global ETF Awards® reflects outstanding achievements in 2016 by ETF industry participants.

For your convenience, the voting form can be filled out online by visiting our site:


or http://www.globaletfawards.com/.


Thursday, March 9, 2017, SQA Fuzzy Day Conference http://www.sqa-us.org/

Join the SQA on March 9th for Fuzzy Day 2017 to explore what  “data science”, “artificial intelligence”, “machine learning”, “big data” and “” really mean for investment managers.


Sunday, March 19, 2017 – Wednesday, March 22, 2017, “Northfield’s 29th Annual Research Conference”

Northfield is offering, a special discount of $300.00 to CQA, London Quant Group, and Boston and New York
QWAFAFEW members. To receive the discounted registration rate of $1,450.00, please enter the promo code
AFFILIATE when registering. This is for NEW registrations only.

The conference meeting sessions will begin on Sunday, March 19, 2017 and finish with lunch on – Wednesday, March 22,
2017. As is customary at Northfield events, a complete recreational and social calendar will compliment the working
Travel Arrangements and Accommodations



Tuesday March 21, 2017, 3:00 pm – 5:00 pm EDT, RavenPack to Launch New Self-Service Data & Visualization Platform

Tribeca Rooftop 360°, 10 Desbrosses St, New York City

Join us at the stunning Tribeca Rooftop 360° for the launch of our new self-service data and visualization platform, a cloud-based analytics service that derives insights from structured and unstructured content.
The service is designed to help any financial professional, from quant researchers to discretionary traders, wealth and risk managers, and even compliance officers. You can walk away with $10K worth of RavenPack data* just for attending.



Tuesday, April 4, 2017, 3rd Annual Liquid Alternative Strategies Summit, Convene Conference Center (Times Square), New York City



Friday, April 7, 2017, 2017 ETP Spring Forum – New York City



Tuesday, April 18, 2017, SPA-2017 – Structured Investments Distribution Conference – NYC
Join 200+ of your colleagues and clients from over 100 firms to hear the latest developments on all things structured from the leading lights in the business.



April 20, 2017, 13th Annual Global ETF Awards and Workshop, Convene, New York City  http://www.exchangetradedfunds.com/

or http://www.globaletfawards.com/.


Thursday, April 27, 2017, Capital Link’s 16th Annual Closed-End Funds and Global ETFs Forum at the Metropolitan Club, NYC



Thursday, May 18, 2017 ,SQA May 18th Seminar w/ Kent Daniel  http://www.sqa-us.org/


Thursday, June 22, 2017, Capital Link will host its 4th Annual Dissect ETFs Forum at the Metropolitan Club, NYC



Please follow QWAFAFEW on linked in: QWAFAFEW Investment Society linked-in Discussion page. The URL is http://www.linkedin.com/e/gis/59644/530E700BF98A. All worldwide chapter events and related events (along with ETF events, SQA events, etc.) are listed on this page along with active discussions and thought-provoking issues are posted on this page.


We are also on Twitter (@QWAFAFEW1) and Facebook (search for QWAFAFEW under groups – less frequently updated). Website  www.qwafafew.org has access to past presentations.  Our programs in Boston, Chicago, Denver, New York City, Metro Los Angelos, Pittsburgh, Philadelphia, Princeton, San Francisco, and Washington, DC are listed along with other useful information.



March 28, 2017
5:30 pm - 8:00 pm
$35 - $60


Mike Carty


Bourbon Street Bar and Grill
346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036
New York, 10036 United States
+ Google Map
(212) 245-2030